articleJournal of Multivariate AnalysisJul 16, 2003GREEN OA

A well-conditioned estimator for large-dimensional covariance matrices

OLOlivier LedoitMWMichael Wolf

Anderson University - South Carolina · Universitat Pompeu Fabra

Indexed incrossref

Abstract

No abstract available for this paper.

Citation impact

2,906
total citations
FWCI
12.29
Percentile
100%
References
25
Citations per year

Authors

2

Topics & keywords

Topics
Keywords
  • Mathematics
  • Estimation of covariance matrices
  • Invertible matrix
  • Applied mathematics
  • Identity matrix
  • Rational quadratic covariance function
  • Covariance
  • Law of total covariance
No related works found for this paper.